Deriscope

The Excel Derivatives Periscope

Products

Power_Exchange_Option

Power Exchange Option is a Tradable that represents a combination of a spread and power option.
The payoff is given by:
max{ λ1*S1(T)^α1-λ2*S2(T)^α2 , 0 }
where
λ1, α1, λ2, α2 are all constants and
S1(T), S2(T) are the prices of two specified underlyings at the option expiry time T

The following features are currently not supported:
American exercise, barriers, discrete dividends/storage costs.

European options having this payoff can be priced using Model[Multi Asset Option]::Pricing Method =
Model[Multi Asset Option]::Pricing Method::BlenmanClark

The following QuantLib issues have been identified:
Issue::MultiAssetOption_Mixed_StartDateIgnored
Issue::MultiAssetOption_PayAtExpiry_Ignored